社保基金的最优组合投资策略研究  

Study on optimal composed investment strategies for the social Security fund

作　　者：刘慧宏[1] 丁元耀[1] 

机构地区：[1]宁波大学商学院,浙江宁波315211

出　　处：《科技与管理》2015年第2期81-86,共6页Science-Technology and Management

基　　金：国家社会科学基金项目(12BGL029);浙江省自然科学基金项目(LY12G01006)

摘　　要：综合经典安全首要投资组合选择模型的优点,在资本市场包含无风险资产的情形下,建立改进的安全首要投资组合选择模型(ISF模型),得到了社保基金最优组合投资策略存在的充分必要条件,给出了社保基金最优组合投资策略的显式表达,讨论了社保基金投资的安全首要有效前沿,最后结合我国资本市场数据给出应用说明。Based on the classical safety-first portfolio selection models, the paper put forward an improved safety- first model with riskless asset. It obtained the necessary and sufficient conditions for existing optimal investment strategies for the social security fund, and then provided its explicit expression of the optimal strategies. Thereafter it discussed the safety-first efficient frontier for social security fund to invest. Finally, a practice example is intro- duced for the social security fund to invest at the capital market in China.

关 键 词：安全首要 投资策略 无风险借款 社保基金 

分 类 号：F830.5[经济管理—金融学] F832.4